Not all claims are reported when a financial operational risk data base is created. The probability of reporting increase with the size of the operational risk loss and approaches one for very big losses. Operational risk losses comes from many different sources and can be expected to follow a...

This paper considers Danish insurance business lines, for which the pricing methodology recently has been dramatically upgraded. A costly affair, but nevertheless the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience...

This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently. A costly affair, but nevertheless, the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience...

We investigate a concept of multivariate pricing, which includes claim history for more than one line of business and is a generalization of the Buuml;hlmann-Straub model. The multivariate credibility model is extended to allow for the age of claims to influence the estimation of future claims....

This paper considers the question of the most appropriate severity distribution estimator for Loss Distribution Analysis (LDA) on operational risk data. We compare the performance of four severity distribution estimators, three well known and one relatively new and assess their suitability for...

Prospective customers of financial and insurance products can be targeted based on the profit the provider expects to earn from them. We present a model for individual expected profit and two alternatives for calculating optimal personalized prices that maximize the expected profit. For one of...